SWAPTIONS
Posted: June 21st, 2004, 8:43 pm
hi,I've been assigned a long term project for the summer and was looking for some help.I was wondering what type of binomial or trinomial tree is the best to use for pricing european swaptions. Basically, I have to find the best interest rate model to use (hull-white, ho lee, etc) and make a program/spreadsheet in excel. I don't have an extensive knowledge of the subject or a ton of programming skills - this is more of a research oriented project. I need to research how people implement tree based option models in excel - how they work and any potential differences. My model must assume normal interest rates and I can only consider open form models. (no bounds on the interest rates)i am leaning towards using a hull white trinomial spreadsheet.